Abstract
This paper examines the time series characteristics of stock price indices for New York and Shanghai during the period of 1991 to 2009. Specifically, we calculate the rate of return and the volatility of return for two markets and estimate the serial correlation and co-movement of the two markets. We find that the average rate of return in Shanghai is much higher than that in New York while Shanghai stock prices are more volatile than New York stock prices. Further, we find that Shanghai stock prices are positively serially correlated while New York stock prices are negatively serially correlated in terms of auto regression of the rate of return. In the multivariate regressions, we find that there is little evidence to show that either the rate of return in Shanghai would affect the rate of return in New York or the rate of return in New York would affect the rate of return in Shanghai. It suggests that the two markets are not integrated. Last, we studied and made conclusion concerning the volatility of the New York and Shanghai indices relate to each other. Santrauka Šis tyrimas apima akcijų kainų indeksų analizę Niujorko ir Šanchajaus biržose nuo 1991 m. iki 2009 m. Atlikus tyrimus nustatyta, kad vidutinė grąžos norma Šanchajuje yra daug didesnė nei Niujorke, o Šanchajaus akcijų kainos kinta daug sparčiau nei Niujorko vertybinių popierių kainos. Be to, pastebėta, kad Niujorko akcijų kainos turi teigiamą koreliaciją, o Šanchajaus akcijų kainos – neigiamą (lyginant grąžos normą). Atlikę daugiakriterinės regresijos analizę, autoriai pastebėjo, kad Šanchajaus biržose vykstantys grąžos normos pasikeitimai neturi įtakos Niujorko biržoms ir, atvirkščiai, Niujorke vykstantys pasikeitimai neturi įtakos Šanchajaus biržoms. Tai rodo, kad šios dvi rinkos nėra integruotos.
Highlights
Our purpose is to study three sets of weekly price indices: Shanghai Stock Composite Index, New York Stock Exchange (NYSE) Composite Index, and Hang Seng Composite Index provided by DataStream during the period of 1991–2009
We calculate the rate of return and the volatility of return for two markets and estimate the serial correlation and co-movement of the two markets
We find that Shanghai stock prices are positively serially correlated while New York stock prices are negatively serially correlated in terms of auto regression of the rate of return
Summary
Our purpose is to study three sets of weekly price indices: Shanghai Stock Composite Index, NYSE Composite Index, and Hang Seng Composite Index provided by DataStream during the period of 1991–2009. One notes that the Chinese financial markets are not open in the Western sense of the term but our study should yield some observations about the relative openness of the Chinese financial markets We examine both the rate of return and the volatility of the price indexes. The data for this study include three sets of weekly price indices: Shanghai Stock Composite Index, NYSE Composite Index, and Hang Seng Composite Index provided by Datastream during the period of 1991–2009. The remainder of this paper is organized as follows: (1) the characteristics of the rate of return and the volatility of return; (2) correlation coefficients; (3) regressions of the rate of return; (4) regressions of the volatility of return; and (5) conclusions
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